Yeah, I have edge wrapped bales and feel that is also worth it. When I put them in rows on the bale rails, stacked tight face to face, I just don't see water penetration damage in between the bales at all. I put them as tightly as I can, which "adds up", when you put them in long rows. Once you get about 10 or so set down on the rails, you can't really push the "whole row" anymore without spinning your wheels... so after that, I just bump them up against the next one pretty hard and set it down.
But still, I sometimes THINK I'd "like" to have a tarp over the row for keeping the water/snow off the bale (would help prevent net from freezing on in icy rains and snow, etc.) ... but that then would also mean that I would have to remove and store all those tarps every time I wanted to take a bale, and from season to season. It's pretty nice to just go and grab one without that significantly extra step and hassle, for sure. So I'm not so sure that it'd be worth it to me.
I just pick up the bale rails "whenever", when the weather is kinda nice, and stack them up for the next season (typically, I'll put 50 to a bundle and strap them with a metal band, and then stack up the bundles, outside, till I need them again). But if the weather is kinda nasty, I might even leave them laying there for the whole row length, and just straddle them with the tractor to retrieve bales. I PREFER to pull them fairly regularly though, maybe once a week or so, so I don't have to back all the way down the whole length of a row over them... but if the weather is bad, I won't bother till we get a nice spell. THAT is what's so much nicer about using "rails" rather than "pallets" or something similar, to keep them up off the ground. They're also alot easier to break loose from the ground if frozen down, than a pallet or similar device would be. Just pop 'em once on the side with an 8# hammer.
I like storing them reasonably close to where I'll be feeding them too, when I can. That said, I'm keeping my cows on about 250 acres right now... the bales are stored right next to that pasture... but I'm feeding them this year way at the back end of it, so I'm STILL transporting when I go out to feed about a mile, with most of that distance being on the county/township roads. As long as I'm not having to make two trips to feed them, storing nearby to where I'm feeding really doesn't save me any travel time... because my tractor is in the shed here at home (and has to be, to be plugged in).
